The objective of this paper is to examine the impact of unconventional monetary policy measures adopted in developed countries (the US, UK, Euro Area and Japan) on developing economies (Brazil, China, India and Russia). First, we analyse the domestic and cross-border financial market impact of...

This note revisits the temporal causality between exchange rates and fundamentals put forward by Engel and West (2005). We analyze the causal link within multivariate VARs by making use of the concept of multi-step causality. Our results show that, considering information content beyond...

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of "stand alone" and composite indicators in predicting systemic events...